Choosing SOFR Swap Tenors for a Discount Curve
Summary
The document lists SOFR swap market tickers and their associated maturities, from short weekly and monthly tenors through long-dated swaps. It frames the list as a starting point for building a SOFR discounting curve comparable to those produced by Bloomberg curve tools.
The table provides market quotes across the tenor range but does not explain how to select curve instruments, bootstrap discount factors, interpolate between maturities, or validate the resulting curve. It also gives no practitioner response or evidence that these are the key tenors for a particular curve setup. Users would need additional conventions and instrument details before applying the list to derivative pricing.
Key ideas
- The document maps SOFR swap tickers to maturities ranging from weeks to decades.
- It presents the tenors as potential inputs to a SOFR discount curve.
- The table alone does not specify bootstrapping, interpolation, or curve validation methods.
Tags
Full text
# Bootstrapping SOFR swap curve # Bootstrapping SOFR swap curve I want to know key tenors of SOFR swap for building discounting curve for pricing derivatives. To build a similar curve to that of Bloomberg ICVS & SWPM, Which instruments should I use? Which tenors of SOFR swap are key tenors? If you are a practitioner, Please answer to my question. | Ticker | Tenor | | USOSFR1Z CBBT Curncy | 1W | | USOSFR2Z CBBT Curncy | 2W | | USOSFR3Z CBBT Curncy | 3W | | USOSFRA CBBT Curncy | 1M | | USOSFRB CBBT Curncy | 2M | | USOSFRC CBBT Curncy | 3M | | USOSFRD CBBT Curncy | 4M | | USOSFRE CBBT Curncy | 5M | | USOSFRF CBBT Curncy | 6M | | USOSFRG CBBT Curncy | 7M | | USOSFRH CBBT Curncy | 8M | | USOSFRI CBBT Curncy | 9M | | USOSFRJ CBBT Curncy | 10M | | USOSFRK CBBT Curncy | 12M | | USOSFR1F CBBT Curncy | 18M | | USOSFR2 CBBT Curncy | 2Y | | USOSFR3 CBBT Curncy | 3Y | | USOSFR4 CBBT Curncy | 4Y | | USOSFR5 CBBT Curncy | 5Y | | USOSFR7 CBBT Curncy | 7Y | | USOSFR8 CBBT Curncy | 8Y | | USOSFR9 CBBT Curncy | 9Y | | USOSFR10 CBBT Curncy | 10Y | | USOSFR12 CBBT Curncy | 12Y | | USOSFR15 CBBT Curncy | 15Y | | USOSFR20 CBBT Curncy | 20Y | | USOSFR25 CBBT Curncy | 25Y | | USOSFR30 CBBT Curncy | 30Y | | USOSFR40 CBBT Curncy | 40Y | | USOSFR50 CBBT Curncy | 50Y |
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.